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Applied Stochastic Control of Jump Diffusions

The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic con...

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Main Authors: Øksendal, Bernt. (Author, http://id.loc.gov/vocabulary/relators/aut), Sulem, Agnès. (http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2007.
Edition:2nd ed. 2007.
Series:Universitext,
Subjects:
Probabilities.
Operations research.
Management science.
Operator theory.
Economics, Mathematical .
Probability Theory and Stochastic Processes.
Operations Research, Management Science.
Operator Theory.
Quantitative Finance.
Online Access:https://doi.org/10.1007/978-3-540-69826-5
Table of Contents:
  • Stochastic Calculus with Jump Diffusions
  • Optimal Stopping of Jump Diffusions
  • Stochastic Control of Jump Diffusions
  • Combined Optimal Stopping and Stochastic Control of Jump Diffusions
  • Singular Control for Jump Diffusions
  • Impulse Control of Jump Diffusions
  • Approximating Impulse Control by Iterated Optimal Stopping
  • Combined Stochastic Control and Impulse Control of Jump Diffusions
  • Viscosity Solutions
  • Optimal Control of Random Jump Fields and Partial Information Control
  • Solutions of Selected Exercises.

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